David,
I wanted to thank you dearly for all the support you provided during the long tedious few months leading up to the test. I am sure you probably hear this from all of your students, but without your class and especially you teaching it, I don’t think I would have had a chance of...
Why are we subtracting the economic capital from the total loan value in estimating the ineterst charge?
from our example, Are banks not borrowing 1 billion from the depositors and making a loan for higher charge? The capital requirement for this loan is 100m and banks invest in highly liquid...
Why is the theta on european put options be positive sometimes?
I can say maybe sometimes by looking at the mathematical expression but how we can explain qualitatively.
The market trades a 1-year bond at 50bp credit spread, and a 3-year bond at 60bp. In the USD market conditions as of fall 2001 and with a recovery rate of 50 percent, what is the implicit probability of default before year 3?
a) 1%.
b) 2%.
c) 3%.
d) 4%.
What are the treasury rates for...
David:
Please help me in solving the following questions...
1) The US Government Bond Zero Curve give a 1-year semiannual yield of 4
percent, on the same basis a corporate security has a yield of 5
percent.
What is the market implied 1-year default probability of the corporate...
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